degrees of freedom

CFA Level II
#1

I’m having the hardest time remembering which dof to use for the various tests (e.g., n-2 vs. n-k-1, etc.) Any tips?

#2

eek! normally isn’t it almost always n - (k+1) so the n - 2 just happens when you have 1 independent variable as for the n - k - 1… a lightbulb faintly is going off… F test… k and n - k - 1 df? i hope quant is not hard on this test or i am f’d.

#3

F test = MSR/MSE MSR = RSS/k MSE = SSE/(n-(k+1) I hope i got the acroynms right.

#4

banni, n-(k-1)=n-(k+1) just thinking various t-tests, f-tests, DW, chi-square, etc

#5

for the serial correlation of the autoregression, its n-2 and for the regression of 1 independent variable its n-2. All the others I think are n-k-1. Thats how I’m remember them. forgot to mention the tests, all the tests (heterostastdcy, serial correlation, and multicolineary of a multiple regression are all based on k degrees of freedom)

#6

In my personal notes I have for F test: Df numerator= k Df denom = n-1. Is denominator n-k-1? This is the kind of s&!t I don’t need 8 days out. Oh well, thanks for the correction if I am wrong.

#7

F test --------- Num = k Den = n-k-1

#8

bannisja Wrote: ------------------------------------------------------- > eek! > normally isn’t it almost always n - (k+1) > so the n - 2 just happens when you have 1 > independent variable n-2=n-(1+1) for one independent variable. Just so you don’t have to stress to try to remember…

#9

Thanks, all. Just went to the Schweser notes, and you are right. (Red pen to my notes)

#10

looking @ quicksheet: t-test for r: n-2 t-test for b in multiple regression: n-k-1 f-test: n-k-1 not sure about the others. i always get these messed up and i know cfa is going to have an answer where one df makes the difference btw. a right and wrong answer

#11

D/W - n and k. Breush Pagan : just k.

#12

D/W - n and k. Breusch Pagan : just k.

#13

good thread… i was thinking of starting one. other good threads would be model assumptions and intercepts on different market models.

#14

Dsylexic Wrote: ------------------------------------------------------- > D/W - n and k. Breush Pagan : just k. Yep…was just about to post this. Make sure!